Tests for multiple breaks in the trend with stationary or integrated shocks

Nuno Sobreira; Luís Catela Nunes

doi:10.1111/obes.12116

Tests for multiple breaks in the trend with stationary or integrated shocks

Nuno Sobreira, Luís Catela Nunes

NOVA School of Business and Economics (NOVA SBE)

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

In this paper, we propose new tests of the presence of multiple breaks in the trend of a univariate time-series where the number and dates of the breaks are unknown and that are valid in the presence of stationary or unit root shocks. These tests can also be used to sequentially estimate the number of breaks. The behaviour of the proposed tests is studied through Monte Carlo experiments.

Original language	English
Pages (from-to)	394-411
Number of pages	18
Journal	Oxford Bulletin of Economics and Statistics
Volume	78
Issue number	3
DOIs	https://doi.org/10.1111/obes.12116
Publication status	Published - 1 Jun 2016

Keywords

CONSISTENT COVARIANCE-MATRIX
SERIAL-CORRELATION
STRUCTURAL-CHANGES
NOISE COMPONENT
TIME-SERIES
UNIT-ROOT
HYPOTHESIS
ROBUST
HETEROSKEDASTICITY
MODELS

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10.1111/obes.12116

Cite this

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abstract = "In this paper, we propose new tests of the presence of multiple breaks in the trend of a univariate time-series where the number and dates of the breaks are unknown and that are valid in the presence of stationary or unit root shocks. These tests can also be used to sequentially estimate the number of breaks. The behaviour of the proposed tests is studied through Monte Carlo experiments.",

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AU - Nunes, Luís Catela

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KW - CONSISTENT COVARIANCE-MATRIX

KW - SERIAL-CORRELATION

KW - STRUCTURAL-CHANGES

KW - NOISE COMPONENT

KW - TIME-SERIES

KW - UNIT-ROOT

KW - HYPOTHESIS

KW - ROBUST

KW - HETEROSKEDASTICITY

KW - MODELS

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VL - 78

SP - 394

EP - 411

JO - Oxford Bulletin of Economics and Statistics

JF - Oxford Bulletin of Economics and Statistics

IS - 3

ER -

Tests for multiple breaks in the trend with stationary or integrated shocks

Abstract

Keywords

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